Cylinder becomes deformed at corners with curve modifier
!!! Check out my other Answer which avoids using the curve modifier.

If you don't want a curved look at the corners but you have to use the curve modifier then you might do this: 

Since the curve modifier tries to displace vertices along the curve you need some more vertices so the deformation can be closer to the real shape of the curve. So a simple solve would be to add some loop cuts to your rope or do the detail modeling of the rope first (because then the rope will probably have many more vertices anyway).

Also for the modelling part of the rope-like ornamentation maybe have a look at the rope-modeling answer by @Robin Betts:
How to make a rope curving in a certain way

Happy Blending! :)